StockFetcher Forums · General Discussion · DIVERGENCE IN CORRELATION AS A SIGNAL<< 1 2 >>Post Follow-up
747 posts
msg #119102
Ignore klynn55
4/14/2014 12:50:39 PM

Gus, thanks, lot of work there, appreciate it !

976 posts
msg #119105
Ignore guspenskiy13
4/14/2014 2:15:37 PM

You're welcome.
I've gained lots of knowledge from SF and its members and I'm glad to pass it.

Let me know if something works particularly good for you or any observations.



An example of using correlation - we know that TSLA is quite random on NDX green. NDX gapped up and tried to fill the gap, so as TSLA.

However, when NDX found bottom and reversed at +0.02%; TSLA filled the gap and went down by -1.5%.

If you paid attention to the correlation, you could see that TSLA shows "extra red" while the index shows strength. When both the index and the stock rebounded, you had better odds of shorting the pop.

This is work in progress..

NDX/TSLA as of 2:24 PM 4/14/14: +0.4%/-2.22% ; TSLA movement ~4.9 times stronger (vs. the average ~3.55)

I wonder, if the relationship of the moves at the close could affect any future movements on the next day. This should be researched further.

I was thinking of building some filter, that would give the chances of playing the gap after the fill...that would be quite effective.

747 posts
msg #119110
Ignore klynn55
4/15/2014 12:03:08 AM

if youre able to see the chart , what happened intraday on wednesday april 2 , between ARIA and RUT. thanks

976 posts
msg #119122
Ignore guspenskiy13
4/15/2014 10:40:19 AM

I only have 30 min chart, but still....

RUT opened gap up +~0.16%; ARIA opened gap up +~0.58%; pretty average.

I wish I had a 5 minute of this, because first 30 min candle on ARIA has a huge tail.

Anyways, while RUT filled the gap and continued in the direction of the gap; ARIA kept going. Why? Because ARIA has a ~50/50 chance to be green or red while RUT is green.

Look at first 30 minute candle, close. RUT is 0.08% red. ARIA is 0.7% down.

That tells it all.... above average by more than 2...just wait for RUT to get green...ARIA doesn't follow...big odds on short side.

Even when the divergence became obvious after first 60 minutes, you could still short ARIA for nice 1-1.5%...

I hope that helped, if you have a shorter time-frame intra-day I would be happy to take a look at it.


This works very TSLA open up 0.25; NDX open up 0.28. TSLA fills the gap and goes more, while NDX barely turns and explodes for straight 15 minutes with RSI(2)=100.

At the top of the run of NDX ~1%+; TSLA was barely green....

C'mon, in this bearish environment....this can't continue for a long time.... NDX changes RSI(2)=100 to 0; TSLA makes a new low.

Both are red now. Common sense, one indicator, some statistics. That's it.

976 posts
msg #119129
Ignore guspenskiy13
4/15/2014 3:52:20 PM

GAP PLAYS for today:

list: both direction plays: (3 gaps out of 3 picks)
NFLX - gapped down 0.75%; filled
ALXN - gapped down 10 cents, filled
ENDP - gapped up 0.57%; filled

list: only gap down: (1 gap out of 10 picks)
CRZO - gapped down 0.25%; filled

list: only gap up: (3 gaps out of 3 picks)
DISCA - gapped up 0.53%; filled
WBMD - gapped up 0.3%; filled
AEGR - gapped up 0.37%; filled

Well, today market gapped up so as most stocks.

Further work on the gap plays involves calculation of correlation to indexes, stats "if the gap is not filled, chance of closing below/above the open", stats "if the gap is filled, chance of closing above/below the previous close".

That should give us even better odds of playing the gaps.

Interesting read about gap trading:

Now we don't need to be anxious at 9:30 and be in rush. For stocks like TSLA/NFLX we can just compare last pre-market candle to QQQ.
Besides that, we can get an overall feel of the market by running ADR(5) on QQQ. Very nice

Also, past 4.5 months show correlation SCTY/TSLA: 71 on green, 84 on red. I wonder if there are deviations that could be possibly played.

976 posts
msg #119144
Ignore guspenskiy13
4/16/2014 2:22:58 PM

Basic channels is probably the most undervalued trading tool indeed.... exp(150) with dma(28,-14), rsi(2)(7), cci(7) and killer...owned TSLA/NDX today.


watchlist: both (3/3)

ALXN - gapped UP 1.29% - FILLED
NFLX - gapped UP 1.41% - FILLED
ENDP - gapped UP 2.15% - FILLED

watchlist: gap down only (only 1 gap down on earnings - market gapped up again) (0/0)

LLTC - gapped DOWN 3.71% - NOT FILLED (earnings)

watchlist: gap up only (excluded all for low liquidity...sad..)

Overall the approach works quite well...I made a prediction for fun on my web-site and it's pretty close...:

From what I know, TSLA:
1) Exceeded daily by 42%, re-bounded 2/3 of it.
2) Did not follow the market; +0.33% vs -2.11%; 1.32 times stronger than the average
3) Has a 62% chance to gap up vs 35% chance to gap down. 3% chance no gap.
What to expect:
Most likely a gap-up to fill.
Market is more likely to gap-up; 60% vs 40%.

The ratio of the gap will mean a lot.
If the ratio is close to average or above; I would be bullish on green market.
If the ratio is below average; I would be bearish even on green market.
Overall: I expect green on the day. Probably a fade, if the movement is too strong. But still.

Ratio of the gap is slightly below average, TSLA is green slightly below average... market tried to fade gap twice and failed.

19 posts
msg #121271
Ignore satanscashcow
8/5/2014 6:58:31 PM

I think this indicator would work with the ADR(5). Check it out: clayburg directional day filter and

8,057 posts
msg #121336
Ignore karennma
8/15/2014 10:59:06 AM

How come this doesn't work >>
add column adr(5)


StockFetcher Forums · General Discussion · DIVERGENCE IN CORRELATION AS A SIGNAL<< 1 2 >>Post Follow-up

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